simulation algorithm exists for this process, at present this is not the case for the Heston stochastic volatility model, where … preferred discretisation method for simulation of the Heston model and extensions thereof. …

Schöbel-Zhu model and the exact simulation algorithm of the Heston model, recently proposed by Broadie and Kaya. Finally, we …The characteristic functions of many affine jump-diffusion models, such as Heston’s stochastic volatility model and all … branch is the correct one. Seen as this formulation is easier to implement and numerically more stable than Heston …

simulation algorithm exists for this process, at present this is not the case for the Heston stochastic volatility model, where … preferred discretisation method for simulation of the Heston model and extensions thereof. …

months and below), the Heston model-in which variance is stationary but not log-normal-is superior for long-term options, and …

Schöbel-Zhu model and the exact simulation algorithm of the Heston model, recently proposed by Broadie and Kaya. Finally, we …The characteristic functions of many affine jump-diffusion models, such as Heston’s stochastic volatility model and all … branch is the correct one. Seen as this formulation is easier to implement and numerically more stable than Heston …

months and below), the Heston model-in which variance is stationary but not log-normal-is superior for long-term options, and …